DIA Options History — September 2015

In September 2015, DIA traded between $160.11 and $167.49. ATM implied volatility averaged 21.0%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.0% (HV 20d: 24.9%). Max pain ranged from $160.00 to $170.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2015-09-18: Highest Volume — 154,343 contracts
2015-09-28: Largest IV spike — 16.9% change
2015-09-01: Highest IV Rank — 84.1%
2015-09-01: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$163.24	$160.11	$167.49	$160.49	$162.64
Max Pain	$163.71	$160.00	$170.00	$170.00	$163.00
ATM IV	21.0%	17.6%	27.2%	27.2%	20.7%
Expected Move	6.1%	5.0%	8.4%	8.4%	6.3%
HV 20d	24.9%	18.9%	27.9%	24.6%	18.9%
HV 60d	18.1%	17.0%	19.1%	17.0%	19.1%
IV Rank	55.6%	40.3%	84.1%	84.1%	53.6%
IV Percentile	94.5%	89.7%	99.2%	99.2%	93.3%
Term Structure	-0.1%	-0.7%	0.4%	-0.1%	-0.3%
VWIV	22.1%	18.1%	28.7%	28.7%	22.0%
Skew 25d	7.9%	6.8%	10.2%	10.2%	7.0%
Skew 10d	15.2%	13.1%	20.1%	20.1%	13.6%
Call IV 25d	17.4%	14.6%	22.3%	22.3%	17.3%
Put IV 25d	25.2%	21.6%	32.6%	32.6%	24.2%
Bid-Ask Spread %	6.10	4.06	15.32	5.52	4.06
Gamma HHI	0.06	0.03	0.10	0.03	0.07
Net GEX	-68.3M	-159.2M	-2.5M	-79.9M	-2.5M
Net DEX	1.41B	662.9M	2.12B	2.12B	949.0M
Net VEX	-10.7M	-12.0M	-9.8M	-12.0M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.73	1.36	0.79	1.07
Total Volume	102,788.333	46,360	154,343	114,746	111,151
Total OI	817,320.619	686,358	906,009	829,516	770,953

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-09-01	$160.49	$170.00	27.2%	8.4%	24.6%	84.1%	28.7%	10.2%	-0.1%	-79.9M	2.12B	-12.0M	0.79	5.52	64,046	50,700	394,232	435,284
2015-09-02	$163.10	$170.00	22.8%	6.6%	25.7%	64.1%	24.0%	8.4%	-0.3%	-68.0M	1.62B	-11.7M	0.81	4.58	55,646	44,857	400,632	435,331
2015-09-03	$163.89	$160.00	21.8%	6.2%	25.8%	59.9%	23.6%	8.3%	-0.2%	-59.0M	1.52B	-11.9M	0.80	7.84	62,362	49,938	405,970	447,268
2015-09-04	$161.54	$162.00	23.4%	6.6%	26.1%	67.1%	25.3%	8.8%	-0.2%	-110.1M	2.09B	-11.4M	0.91	7.44	63,102	57,184	413,185	457,184
2015-09-08	$164.59	$162.00	21.0%	5.9%	26.7%	56.1%	23.3%	8.6%	-0.1%	-69.5M	1.48B	-11.4M	1.36	15.32	19,666	26,694	385,728	443,168
2015-09-09	$162.39	$163.00	22.5%	6.5%	26.8%	63.0%	22.8%	9.1%	0.2%	-86.8M	1.85B	-11.1M	0.94	7.02	59,206	55,671	403,189	451,470
2015-09-10	$163.16	$163.00	21.5%	6.1%	26.9%	58.5%	22.6%	8.7%	-0.1%	-92.0M	1.73B	-11.0M	1.16	6.80	51,233	59,525	409,302	462,191
2015-09-11	$164.09	$163.00	20.5%	5.9%	27.0%	54.1%	22.1%	8.2%	0.1%	-69.4M	1.57B	-11.1M	0.95	5.82	53,418	50,505	415,869	476,397
2015-09-14	$163.62	$163.00	21.0%	6.0%	26.9%	56.0%	22.8%	8.1%	-0.1%	-106.9M	1.67B	-10.7M	0.99	4.21	43,290	43,065	403,333	476,420
2015-09-15	$166.23	$163.00	19.6%	5.6%	27.7%	49.8%	21.0%	7.3%	-0.2%	-72.5M	1.15B	-10.6M	0.80	6.93	37,748	30,307	396,799	483,532
2015-09-16	$167.49	$163.00	18.6%	5.3%	27.9%	45.3%	20.8%	7.5%	-0.7%	-56.9M	662.9M	-10.6M	0.94	5.69	60,003	56,323	403,028	491,869
2015-09-17	$166.66	$163.00	17.6%	5.0%	27.8%	40.9%	18.3%	7.2%	0.4%	-78.7M	892.6M	-10.4M	1.06	8.79	65,417	69,353	407,432	496,754
2015-09-18	$163.55	$164.00	19.6%	5.6%	27.9%	49.7%	18.1%	7.7%	0.1%	-159.2M	1.91B	-10.0M	0.73	5.35	88,987	65,356	405,469	500,540
2015-09-21	$164.80	$164.00	17.7%	5.1%	25.3%	40.3%	18.9%	7.0%	0.4%	-14.0M	718.0M	-10.0M	1.12	4.34	43,798	48,839	313,357	373,001
2015-09-22	$162.12	$164.00	20.2%	5.9%	23.8%	51.4%	20.7%	7.6%	0.2%	-47.0M	1.21B	-10.0M	0.91	4.54	41,704	37,863	320,893	386,875
2015-09-23	$162.67	$164.00	19.0%	5.5%	23.4%	45.8%	19.3%	6.9%	0.3%	-44.2M	1.10B	-9.8M	1.10	4.10	38,309	42,028	330,833	394,364
2015-09-24	$161.81	$164.00	19.9%	5.8%	21.7%	49.8%	20.7%	6.8%	0.2%	-60.5M	1.30B	-10.0M	1.12	5.13	51,564	57,888	335,374	399,760
2015-09-25	$162.91	$163.00	19.8%	5.7%	20.4%	49.5%	20.4%	6.8%	0.1%	-28.4M	973.1M	-10.1M	1.31	5.45	48,228	63,264	344,757	405,245
2015-09-28	$160.11	$164.00	23.2%	7.0%	21.2%	64.9%	23.7%	7.9%	-0.6%	-65.4M	1.52B	-10.0M	1.17	4.91	45,245	53,059	333,755	402,497
2015-09-29	$160.22	$163.00	22.8%	6.9%	21.2%	63.3%	24.6%	7.6%	-0.5%	-63.8M	1.49B	-10.0M	1.25	4.32	40,830	51,183	344,578	405,915
2015-09-30	$162.64	$163.00	20.7%	6.3%	18.9%	53.6%	22.0%	7.0%	-0.3%	-2.5M	949.0M	-10.2M	1.07	4.06	53,644	57,507	352,948	418,005